發(fā)布時間：2018-02-09 05:40

  本文關鍵詞： 金融風險管理 VaR 證券投資基金 GARCH模型　出處：《貴州財經(jīng)大學》2012年碩士論文　論文類型：學位論文

【摘要】：近年來，隨著我國金融市場的高速發(fā)展，證券投資基金以其專業(yè)化、規(guī)�；拖到y(tǒng)化的優(yōu)勢，逐步成為推動我國證券市場發(fā)展的重要力量之一。因此，基金業(yè)如何健康有序的發(fā)展，成為近年來我國金融投資理論界和實務界關注的熱點問題。借鑒國外基金業(yè)發(fā)展的歷史經(jīng)驗，基金要實現(xiàn)長期穩(wěn)定持續(xù)收益的目標，風險管理水平是其中的決定性因素，而準確辨識、測量金融風險已成為風險管理中的關鍵環(huán)節(jié)。VaR全稱是“Value at Risk”，是一種近年來被國外大多數(shù)金融機構采用衡量風險的新方法，它的含義是在一定的置信度條件下，某一金融資產(chǎn)或者證券組合在一定時間內(nèi)發(fā)生的最大損失。由于它直觀、規(guī)范、便于操作的特點得到了國際金融監(jiān)管的大力推廣。VaR作為一種新的風險管理標準最早在銀行機構運用較多，從目前的趨勢來看，除銀行外的金融機構與非金融機構等都在積極的將VaR技術納入其風險管理系統(tǒng)之中。本文在這一背景條件下，嘗試將VaR運用于我國證券投資基金的風險度量和控制方面的研究。 為此，本文從金融風險管理的理論框架出發(fā)，以VaR原理的角度引出觀點：風險測量的效果是金融風險管理技術應用的關鍵。梳理了投資基金的概念之后，對投資基金在國內(nèi)外發(fā)展的歷程進行了回顧，從發(fā)展的角度來闡述風險管理系統(tǒng)在證券投資基金中的重要性。然后全面介紹VaR測量技術的原理和常用方法，在此基礎上提出用GARCH模型來提高VaR的測量精度。本文使用基金開元的對數(shù)收益率數(shù)據(jù)作為樣本，進行統(tǒng)計檢驗后得出可以用GARCH（1，1）模型來擬合其收益率的波動水平。為了比較不同分布假設下的GARCH-VaR方法測量的效果，將正態(tài)分布、Student-t分布和廣義誤差分布假設的GARCH模型用以預測樣本的日VaR。通過VaR的定義來計算結果，，并對實證結果進行了返回測試，最后得出結論：VaR技術在我國證券投資基金風險管理中有一定的適用性和實用價值。
[Abstract]:In recent years, with the rapid development of China's financial market, securities investment fund with specialization, scale and systematic advantages, has gradually become an important force in promoting the development of China's securities market. Therefore, the fund industry to the healthy and orderly development, become a hot issue in recent years, the financial circles of our country and investment theory practice. Learn from the historical experience of foreign fund industry development fund, to achieve long-term stability, sustainable revenue target, the level of risk management is the decisive factor, and accurate identification, measurement of financial risk has become a key link in the risk management of the full name of.VaR is "Value at Risk", is a new method to measure the risk of using a in recent years by most foreign financial institution, it is the meaning of confidence in certain conditions, a financial asset or portfolio in a certain period of time the most by the loss. It is intuitive, standardized, easy operation by international financial supervision to promote the.VaR as a new risk management standards as early as more use of banking institutions, from the current trend, in addition to the bank's financial institutions and non financial institutions are actively applying VaR technology into its risk management system. Based on this background, try to research on risk measurement and control of VaR used in China's securities investment fund aspect.
涓烘,鏈枃浠庨噾铻嶉闄╃鐞嗙殑鐞嗚妗嗘灦鍑哄彂,浠aR鍘熺悊鐨勮搴﹀紩鍑鴻鐐癸細椋庨櫓嫻嬮噺鐨勬晥鏋滄槸閲戣瀺椋庨櫓綆＄悊鎶

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